Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1355
Annualized Std Dev 0.4230
Annualized Sharpe (Rf=0%) -0.3203

Row

Daily Return Statistics

Close
Observations 3487.0000
NAs 1.0000
Minimum -0.2855
Quartile 1 -0.0133
Median 0.0000
Arithmetic Mean -0.0002
Geometric Mean -0.0006
Quartile 3 0.0130
Maximum 0.1893
SE Mean 0.0005
LCL Mean (0.95) -0.0011
UCL Mean (0.95) 0.0007
Variance 0.0007
Stdev 0.0266
Skewness -0.2169
Kurtosis 7.8151

Downside Risk

Close
Semi Deviation 0.0190
Gain Deviation 0.0189
Loss Deviation 0.0194
Downside Deviation (MAR=210%) 0.0236
Downside Deviation (Rf=0%) 0.0191
Downside Deviation (0%) 0.0191
Maximum Drawdown 0.9757
Historical VaR (95%) -0.0405
Historical ES (95%) -0.0620
Modified VaR (95%) -0.0415
Modified ES (95%) -0.0713
From Trough To Depth Length To Trough Recovery
2008-06-19 2020-03-23 NA -0.9757 3211 2960 NA
2007-06-18 2007-08-28 2007-10-12 -0.1609 83 51 32
2008-01-15 2008-01-23 2008-02-20 -0.1185 25 6 19
2007-11-07 2007-11-27 2008-01-14 -0.1129 46 14 32
2008-02-29 2008-03-20 2008-04-07 -0.1101 26 15 11

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 0.4 0.8 -1.9 1.7 1.3 -1.5 -0.5 -0.6 -0.3
2008 1.8 -2.6 1.1 -1.7 2.2 0.3 -0.1 -1.4 -3.6 2.6 -11.3 2.7 -10.3
2009 -2.5 -1.6 2.1 5.1 4.5 -0.1 2.2 -2.6 -4.6 -6.2 2.4 -1.5 -3.4
2010 4.5 2 2.4 -1 -5.1 -0.1 -0.6 3.4 1.2 1.7 2.5 0.3 11.4
2011 1.2 -2.6 0.5 1.6 -2.3 1.1 0.2 -0.7 -3.4 -3.1 -0.8 -0.1 -8.2
2012 -0.6 1.2 0.2 0.9 -4.9 3.7 0.2 1.1 1.2 1.3 -0.8 2.2 5.5
2013 0.4 -0.7 -1 -1.9 -2.1 0.3 1.8 0.2 2 0.7 0.1 0.4 0.1
2014 -0.4 0.8 -0.2 -1.6 -0.7 -0.7 -1.3 1.4 -3.3 2.5 -1.8 -0.4 -5.7
2015 1.6 -1.1 1 -0.7 -0.9 -5 -3 -4.6 0.4 1 0 5.9 -5.6
2016 -5 1.8 -1.5 0.2 0.4 1.4 -4.3 0.2 1.8 -0.5 0.6 -0.6 -5.6
2017 -0.1 2.3 1.2 0.2 0.7 0.2 -0.9 2.1 0.1 2.5 1.7 -1 9.2
2018 0.5 1 2.6 -0.2 -0.3 0.3 -1 -0.8 1.3 1.6 -1.3 0.3 4
2019 0.6 2.3 1.3 -2.9 -1.1 -0.3 -6 -2.2 -3.8 3.2 -2.7 1.8 -9.7
2020 -2.2 3.5 -3.1 -7.4 2.8 -2.3 -0.7 -0.5 -2.6 -0.5 -0.4 -1.1 -13.9
2021 2.4 3.2 3.8 NA NA NA NA NA NA NA NA NA 9.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-05-11  98.7 SPY    151.  8.60e-3 -0.0004    0.0429   0.0481    0.138    0.386    0.400 GLD    66.4  0.0068  -0.0255
2 2007-05-15  98.8 SPY    151.  3.00e-4 -0.00120   0.0264   0.0409    0.165    0.363    0.396 GLD    66.5  0.0039  -0.0197
3 2007-05-16  98.2 SPY    152.  6.80e-3  0.00290   0.0307   0.0411    0.171    0.378    0.375 GLD    65.6 -0.0141  -0.0274
4 2007-05-17 101.  SPY    151. -2.00e-3  0.0115    0.0274   0.0377    0.170    0.375    0.378 GLD    65.1 -0.0082  -0.0142
5 2007-05-18 102.  SPY    153.  8.70e-3  0.0117    0.0366   0.0473    0.203    0.399    0.383 GLD    65.5  0.0071  -0.014 
6 2007-05-21 103.  SPY    153. -5.00e-4  0.0134    0.0264   0.0445    0.209    0.391    0.376 GLD    65.7  0.0023  -0.0092
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart